Disentangling the supply and announcement effects of open market operations

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-01-01 DOI:10.1016/j.finmar.2023.100871

Narayan Bulusu

引用次数: 0

Abstract

Central banks use open market operations (OMOs) to adjust the liquidity available to the financial system to maintain the short-term borrowing rate within the desired target range. Using the conditional event study methodology to decompose the impact of OMOs into supply and announcement effects, this paper finds that when OMO announcements are unexpected, the decrease in the lending rate as a result of the higher supply is significantly moderated by the announcement effect. The results highlight that central banks communicate not just through signals of their desired policy stance, but also through their announcements of operations that implement the stance.

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厘清公开市场操作的供应和公告效应

中央银行利用公开市场操作(OMOs)来调整金融体系可用的流动性，使短期借款利率保持在预期的目标范围内。本文运用条件事件研究方法将OMO的影响分解为供给效应和公告效应，发现当OMO公告具有非预期性时，由于供给增加而导致的贷款利率下降被公告效应显著调节。结果表明，央行不仅通过信号传达其期望的政策立场，而且还通过宣布实施该立场的操作来进行沟通。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.